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The Block Bootstrap for Parameter Estimation Error In Recursive Estimation Schemes, With Applications to Predictive Evaluation

Swanson, Norman R.; Corradi, Valentina - 2003

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Persistent link: https://www.econbiz.de/10010263214

Some Recent Developments in Predictive Accuracy Testing With Nested Models and (Generic) Nonlinear Alternatives

Corradi, Valentina; Swanson, Norman R. - 2003

Forecasters and applied econometricians are often interested in comparing the predictive accuracy of nested competing models. A leading example of nestedness is when predictive ability is equated with ?out-of-sample Granger causality?. In particular, it is often of interest to assess whether...

Persistent link: https://www.econbiz.de/10010263216

Predicting Inflation : Does The Quantity Theory Help?

Bachmeier, Lance J.; Swanson, Norman R. - 2003

wide range of forecast horizons and allow for estimated as well as theoretically specified cointegrating relationships in … models for forecasting, and helps to explain previous findings of the failure of VEC models to forecast better than VAR … models. The second shows that random walk and other atheoretical models routinely forecast better than correctly specified …

Persistent link: https://www.econbiz.de/10010263217

Zukunftsorientierte Bestimmung von Kapitalkosten für die Unternehmensbewertung

Gebhardt, Günther; Daske, Holger - 2004

Der Bestimmung risikoadäquater Diskontierungssätze kommt bei der Unternehmensbedeutung eine zentrale Bedeutung zu. Wird zu deren Bestimmung in der praktischen Anwendung das CAPM verwendet, gilt es dabei, risikolose Zinssätze und Risikoprämien zu bestimmen, für die erwartete Renditen des...

Persistent link: https://www.econbiz.de/10010263304

Why Do Asset Prices Not Follow Random Walks?

Franke, Günter; Lüders, Erik - 2004

This paper analyzes the effect of non-constant elasticity of the pricing kernel on asset return characteristics in a rational expectations model. It is shown that declining elasticity of the pricing kernel can lead to predictability of asset returns and high and persistent volatility. Also,...

Persistent link: https://www.econbiz.de/10010263423

Sentiment dynamics and stock returns: the case of the German stock market

Lux, Thomas - 2008

We use weekly survey data on short-term and medium-term sentiment of German investors in order to study the causal relationship between investors' mood and subsequent stock price changes. In contrast to extant literature for other countries, a tri-variate vector autoregression for short-run...

Persistent link: https://www.econbiz.de/10010263537

Modeling the dynamics of EU economic sentiment indicators: an interaction-based approach

Ghonghadze, Jaba; Lux, Thomas - 2009

This paper estimates a simple univariate model of expectation or opinion formation in continuous time adapting a 'canonical' stochastic model of collective opinion dynamics (Weidlich and Haag, 1983; Lux, 1995, 2007). This framework is applied to a selected data set on survey-based expectations from...

Persistent link: https://www.econbiz.de/10010263547

Cointegration analysis with mixed-frequency data

Seong, Byeongchan; Ahn, Sung K.; Zadrozny, Peter A. - 2007

We develop a method for directly modeling cointegrated multivariate time series that are observed in mixed frequencies. We regard lower-frequency data as regularly (or irregularly) missing and treat them with higher-frequency data by adopting a state-space model. This utilizes the structure of...

Persistent link: https://www.econbiz.de/10010264085

[Sigma]: the long and short of it

Chirinko, Robert S. - 2008

Research on the elasticity of substitution between capital and labor - ó - has been proceeding for 75 years. While there is clearly a strong case for the importance of ó in the analysis of growth and other economic issues, much less agreement exists on the value of ó. This paper offers some...

Persistent link: https://www.econbiz.de/10010264314

Modelling long-run trends and cycles in financial time series data

Caporale, Guglielmo Maria; Cunado, Juncal; Gil-Alana, … - 2008

This paper proposes a very general time series framework to capture the long-run behaviour of financial series. The suggested model includes linear and non-linear time trends, and stationary and nonstationary processes based on integer and/or fractional degrees of differentiation. Moreover, the...

Persistent link: https://www.econbiz.de/10010264382